BGE: Which script names produce a "module has no attribute" error?
wave is indeed a module from Python's standard library, as you can see in the link below. As it deals with heavy data processing (wave sound files manipulation), it is probably a compiled C extension, and you may find it as a .pyd file extension (which is equivalent to a Windows DLL). Refer to Python standard library to avoid using already taken module names and be a bit more specific about your own module names (like game_wave, and so on). 

wave module on Python standard library documentation: https://docs.python.org/3/library/wave.html